That's going to take a long while for some people to get used to Unix Way.
I'm, on the other hand, all for storing user specific data in user's Home directory, this way I can just sync all my documents, settings, saved games between different systems at once. Also it is much easier to do backups, since I'd need to burn only one directory for everything.
If you really don't want to keep your saved games on C: drive, you can change that by selecting a different location for your "My Documents" directory.